Patie, Pierre 
ORCID: 0000-0003-4221-0439 and Vaidyanathan, Aditya
(2018)
Non-classical Tauberian and Abelian type criteria for the moment problem.
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Abstract
The aim of this paper is to provide some new criteria for the Stieltjes moment problem. We first give a Tauberian type criterion for moment indeterminacy that is expressed purely in terms of the asymptotic behavior of the moment sequence (and its extension to imaginary lines). Under an additional assumption this provides a converse to the classical Carleman's criterion, thus yielding an equivalent condition for moment determinacy. We also provide a criterion for moment determinacy that only involves the large asymptotic behavior of the distribution (or of the density if it exists), which can be thought of as an Abelian counterpart to the previous Tauberian type result. This latter criterion generalizes Hardy's condition for determinacy, and under some further assumptions yields a converse to the Pedersen's refinement of the celebrated Krein's theorem. The proofs utilize non-classical Tauberian results for moment sequences that are analogues to the ones developed in Feigin and Yashchin, and, Balkema et al. for the bi-lateral Laplace transforms in the context of asymptotically parabolic functions. We illustrate our results by studying the time-dependent moment problem for the law of log-L\'evy processes viewed as a generalization of the log-normal distribution. Along the way, we derive the large asymptotic behavior of the density of spectrally-negative L\'evy processes having a Gaussian component, which may be of independent interest.
| Item Type: | Article |
|---|---|
| Additional Information: | Mathematische Nachrichten |
| Uncontrolled Keywords: | math.PR, math.PR, math.CA |
| Depositing User: | Symplectic Admin |
| Date Deposited: | 28 Apr 2020 10:14 |
| Last Modified: | 18 Jan 2023 23:53 |
| Related URLs: | |
| URI: | https://livrepository.liverpool.ac.uk/id/eprint/3084562 |
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